率制度下我国外贸企业汇率风险管理研究

广西师范大学硕士学位论文现行汇率制度下我国外贸企业汇率风险管理研究姓名：李生杰申请学位级别：硕士专业：国民经济学指导教师：高劲20080401I2005200572006IICSIIITheriskmanagementstudyofexchangeratefortheforeigntradeenterprisesofchinainthecurrentexchangeratesystemofRMBAbstractIn2005,thegovernmentofchinaannouncedtoreformthemechanismofRMBexchangerate.Fromthattime,Chinahasadoptedamanagedfloatingexchangeratemechanism,whichbasesonmarketsupplyanddemandandadjustingwithreferencetoabasketofcurrencies,atthesametime,thegovernmentwoulddecreasethecontrolofforeignexchangeforthepurposeofimprovingtheexchangeabilityofcurrentaccountandenlargingtheexchangeabilityofcapitalaccountstepbystep,andwhat’smore,becauseofthespecialcharacteristicofthenewexchangeratesystemandtheneedofexchangerateriskevading,thegovernmentwouldadoptaseriesofpoliciesandmeasurestoenhancethedevelopmentoftheforeignexchangemarket.In2006,comparingwithUSdollar,theexchangerateofRMBincreaseddramatically,becauseofthepolynarydomesticandinternationalpressureofeconomyandpolitics.AccordingtothereformhistoryofRMBexchangerate,andcurrentinternationalfinancialsystem,wearesure,thatRMBcanbeexchangedfreelyultimatelyinsomeday,andtheexchangerateofRMBwillfloatultimatelyinthefuture.Unfortunately,becauseofforeignexchangecontrolandfixedexchangerateforalongtimeinmainland,theforeigntradeenterpriseslacktheintentionandcapacitytoevadetheriskofexchangerate,Soit’ssurelyimportanttostudytheriskmanagementproblemsofexchangerateandtheinternalreasonsfortheforeigntradeenterprises.Tothecertainaboveproblems,it’snecessaryforthethesistostudyhowtomanagetheriskofexchangerateforthepurposeofdecreasingthepressureofexchangerateriskandenhancinginternationalcompetitionoftheforeigntradeenterprises.InordertomanagetheexchangerateriskofRMB,weshouldknowthattheforeigntradeenterpriseshavetofacethefollowingrisk,whichincludetransactionrisk,economicriskandaccountingrisk,andwhat’smore,theriskmanagementofexchangerateisdefinedasafinancialaffairwhosepurposeisprotectingthevestedeconomicinterestfortheenterprisesinthefloatingratesystem.Basingontheaboveintroduction,becauseofthethreekindsofexchangeraterisks,weshouldknowthattheriskmanagementgoalsofexchangeratearedifferent.Themanagementgoaloftransactionexchangerateriskismakingthelossminimizewhentheenterpriseexchangedifferentcurrencies;Themanagementgoalofeconomyexchangerateriskisdecreasingthecostofproducingfactorsandkeepingthemarketshare;Themanagementgoalofaccountingexchangerateriskisprotectingvestedinterestwhentheenterprisesexchangetheforeigncurrencyaccountingsheettodomesticaccountingsheet.Throughthestudyingofpertinentdomesticandinternationalriskmanagementtheories,asIVwellasthecurrentriskmanagementsituationofexchangerateintheforeigntradeenterprisesinChinawehavefoundthattheforeigntradeenterprisesexistthefollowingproblems,asfarasconcernabouttheriskmanagementofexchangerateincurrentexchangeratesystemofRMB:Theenterpriseslackenoughintentiontoevaderisk;Thecapacityoftheenterprisestoevaderiskislimited;Theenterpriseslackareasonableriskmanagementsystemofexchangerateandsoon.Asfarasweknow,thatthereasonsoftheaboveproblemsarefollowing:TheexchangerateriskmanagementoftheenterprisesisrestrictedbyforeignexchangecontrolandforeignexchangemarketsituationinChina.BasingonthespecialfinancialsituationofChina,wethinkthattheenterprisescanmanagetheforeignexchangerateriskthroughthefollowingtactics:EvadingthetransactionriskthroughDerivativefinancialtoolsandtradingprocesscontrol;Dispersingtheeconomyriskthroughinternationalmarketingtactics,producingtactics,polynarymanagementstrategyandpolynarystrategyoffinacing;EvadingaccountingriskthroughcentralizingHedging,adjustingcapitalanddebtintheaccountsheet.Althoughit’simportanttoevadeforeignexchangeratethroughtheabovemeasurementstotheforeigntradeenterprisesinChina,it’sstillnotenough.Here,wewillusetheenterpriseCSasexampletostudytheriskmanagementcaseKeywordsForeigntradeenterpriseForeignexchangeratesystemForeignexchangerateriskTheriskmanagementofforeignexchangerate36120057200620068CME2007CS12CS231231(ForeignExchangeExposure)()()()()2431235412362007%00208470.00103.9700015163.1029.5160097898.2265.4100001890.6496.0000072679.0077.9100214453.0657.6500002179.39316.1600006352.332854.0000205264.08103.4300062699.704917.1300216666.0091.4900207966.00154.7900215669.70205.9600217570.0037.5200085669.0725.4100212094.00157.009079.911.%2007.1222007(1999)1234JJohnJStephensWCharlesWSmithsonSmith,Smithsonandford(1990)EunandResnick(1994)GlenandJorion(1993)EunandResnick(1997)Jongetal(1997)1SLSrinivasuluStrategicresponsetoforeignexchangerisks,ColumbiaJournalofWorldBusiness.2ChristosPantzalis,BettyJ.Simkins,PaulA.Laux}OperationalhedgesandtheforeignexchangeexposureofU.S.MultinationalCorporations.JournalofInternationalBusinessStudies.Vo1.32,20013GeorgeAllayannis&EliOfek,angerateexposure,hedging,andtheuseofforeignderivativesJournalofI